JUN 2021

Brevan Howard
Master Fund

ADV012931
Limited
MONTHLY RISK REPORT

Your attention is drawn to the important legal information and disclaimer set out at the end of this document
+44 (0)20 7022 6250 | www.brevanhoward.com
JUN 2021
Brevan Howard Master Fund Limited Risk Report
As at close of business on 30 June 2021

Performance Summary
Brevan Howard Fund Limited (“BHFL”) Class A USD Shares1 - NAV Per Share % Change
YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2003 0.31 3.95 2.75 -1.7 7 -2.92 2.62 -1.75 -0.51 2.09 4.62
2004 2.76 0.56 2.70 2.41 0.68 1.66 1.01 -0.25 -0.53 1.29 1.11 0.38 14.62 NAV
$ 7,287 mm
2005 0.56 -0.01 2.31 -0.10 1.37 1.42 -0.31 0.85 2.33 -2.52 0.20 1.7 7 8.03
2006 3.68 1.79 2.98 2.86 -2.75 0.93 1.50 -1.96 0.30 1.00 0.59 -0.15 11.10
2007 1.99 0.74 1.13 0.89 0.15 2.32 2.60 3.16 5.97 0.15 2.97 0.7 7 25.21
2008 9.89 6.70 -2.79 -2.46 0.78 2.78 1.16 0.78 -3.16 2.78 3.76 -0.70 20.43
2009 5.11 3.07 1.18 0.09 3.24 -0.90 1.42 0.73 1.57 1.10 0.38 0.39 18.65
2010 -0.25 -1.51 0.05 1.47 0.33 1.39 -2.00 1.22 1.48 -0.32 -0.31 -0.48 1.01
2011 0.66 0.51 0.75 0.52 0.56 -0.57 2.21 6.19 0.40 -0.75 1.68 -0.46 12.15
2012 0.90 0.24 -0.39 -0.43 -1.76 -2.22 2.37 1.03 1.98 -0.36 0.92 1.68 3.93 Performance Metrics1
2013 1.02 2.32 0.25 3.50 -0.09 -3.09 -0.82 -1.54 0.03 -0.54 1.35 0.42 2.68 BHFL CLASS A USD SHARES
2014 -1.35 -1.14 -0.43 -1.07 -0.25 -0.24 0.75 -0.12 4.40 -2.00 0.92 -0.12 -0.79 MTD (%) -1.61%
2015 3.33 -0.61 0.38 -1.30 0.95 -1.06 0.33 -0.96 -0.72 -0.68 2.44 -3.88 -1.96 QTD (%) -1.31%
2016 0.50 0.58 -1.98 -0.86 -0.29 0.94 -1.17 -0.20 -0.89 0.78 5.57 0.22 3.03 YTD (%) 0.79%
2017 -1.49 2.01 -2.91 -0.72 -0.70 -1.47 1.44 0.10 -0.88 -0.93 0.10 -0.00 -5.40 12M (%) 5.90%
2018 2.42 -0.50 -1.65 0.96 7.92 -0.67 0.82 0.80 0.04 1.23 0.29 0.38 12.40 LTD2 (%) 362.12%
2019 0.60 -0.80 2.42 -0.56 3.49 3.90 -0.73 1.05 -1.97 0.57 -1.23 1.61 8.49 ARR3 (%) 8.75%
2020 -1.34 5.34 18.32 0.16 -0.90 -0.64 1.75 0.87 -1.21 -0.10 0.67 3.04 27.41 Risk4 (%) 6.12%
2021 1.13 0.22 0.76 0.12 0.18 -1.61 0.79 Sharpe 5 (X) 1.18

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

Data as at 30 June 2021. Data for June 2021 and YTD is calculated by Brevan Howard Asset Management LLP ("BHAM"), on the basis of
estimated performance data from International Fund Services (Ireland) Limited ("IFS").

Performance Graph
BHFL Class A USD Shares1 - NAV Per Share and Monthly Change

PAST PERFORMANCE
IS NOT INDICATIVE
OF FUTURE RESULTS
Data as at 30 June
2021. Data for June
2021 is calculated
by BHAM, on the
basis of estimated
performance data from 2
IFS.

Risk
Net FX Delta Exposure
Securities Leverage Historical Simulations (% NAV) (% NAV)6
RATIO OF ABSOLUTE VALUE OF SECURITIES * 0.3 SCENARIO PERIOD PERFORMANCE REGION DELTA
TO NAV Lehman 15/09/08 - 20/11/08 -0.9% Asia 0%
*excluding derivatives and securities held by the Fund in European Sovereign Crisis 22/07/11 - 08/08/11 -0.6% Europe -6%
underlying funds managed by Brevan Howard Taper Tantrum 23/05/13 - 24/06/13 0.5% Other 5%
Jackson Hole Aug 2014 25/08/14 - 30/09/14 0.8% USD 0%
DV01 Summary (Change in Fund NAV for a 0.01% rise in rates)
European QE 2015 02/01/15 - 13/03/15 5.3%
CCY 3M 2Y 10Y+ TOTAL China 2015 31/07/15 - 30/09/15 -2.4% Other Asset Classes -
EUR 0.00% 0.00% -0.01% 0.00% Brexit 2016 23/06/16 - 27/06/16 -1.3% Net Exposure (% NAV)9
USD 0.00% 0.00% 0.04% 0.03% Trump Election 07/11/16 - 15/12/16 4.3% CLASS DELTA
JPY 0.00% 0.00% 0.00% 0.00% Equity 9%
Total Exposure (% NAV)
GBP 0.00% -0.01% 0.01% 0.01% Commodity 3%
Other 0.00% -0.01% 0.00% -0.01% IR VEGA 7 0.15% Credit 1%
Total 0.00% -0.01% 0.05% 0.03% FX VEGA 8 0.80% Digital Assets 1%

Sources and notes: Performance Data: Unless otherwise indicated, monthly return data is provided by the fund’s administrator, IFS. Return, assets, performance metric and
performance chart data calculations estimated by BHAM. Risk Exposure Data: BHAM. 1. Performance data is represented by the performance of BHFL Class A USD shares, net of
all investment management fees (being (1) from inception until 31 December 2018, 2% annual management fee and 20% performance fee, and (2) from 1 January 2019 onwards, 1.5%
annual management fee and 20% performance fee) and all other fees and expenses payable by BHFL and Brevan Howard Master Fund Limited (“BHMF”), including an operational
services fee payable by BHMF of 0.5% per annum. 2. Since inception (April 2003). 3. ARR: Annualised Rate of Return, since inception. 4. Risk: Annualised standard deviation of
returns (based on daily data estimated by BHAM), since inception. 5. Sharpe: Annualised excess return (over Federal Funds target rate) / annualised standard deviation of excess
returns (based on daily data estimated by BHAM), since inception. 6. Figures are rounded to the nearest whole number. Therefore in some instances the total may not equal 100%
or 0% (as applicable). 7. Change in BHMF NAV for a relative rise of 10% in implied normal yield volatility. 8. Change in BHMF NAV for an absolute 1% rise in implied volatility. 9. Equity
& Commodity - net delta; Credit - net iTraxx Xover equivalent for EUR denominated positions, net CDX HY equivalent for all others (beta adjustments estimated by BHAM based
on 2 years’ risk history). Please note that prior to 31 August 2014, a different methodology for calculating net credit exposure was used; Digital Assets - crypto-currencies. Note:
Brevan Howard measures leverage according to three calculation methodologies: (i) the “Gross Method” (as required under the EU Alternative Investment Fund Managers Directive
(“AIFMD”)), (ii) the “Commitment Method” (as required under the AIFMD) and (iii) its own leverage calculation methodology (the “Manager’s Method”). For further information, please
see the BHMF AIFMD Leverage Report.
Private and confidential.
Private and confidential. Not
Not for
for publication.
publication. Your
Your attention
attention isis drawn
drawn to
to the
the important
important legal
legal information
information and
and disclaimer
disclaimer set
set out
out at
at the
the end
end of
of this
this document.
document. ©

Brevan Howard Capital
© Brevan Howard
Management Capital
LP (2021). AllManagement LP (2021). All rights reserved.
rights reserved.
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JUN 2021
Brevan Howard Master Fund Limited Risk Report
As at close of business on 30 June 2021

Risk (CONTINUED)

Value at Risk (“VaR”) by Product1 IR VaR by Currency1 Exposure by Geographic Region3,4

PRODUCT VAR $MM % NAV % TOTAL CURRENCY IR VAR REGION %
IR 20.7 0.28% 34% EUR 0.03% Americas 59%
Vega 7.7 0.11% 13% USD 0.07% Europe 16%
FX 9.2 0.13% 15% JPY 0.00% Asia 13%
Equity 12.0 0.16% 19% GBP 0.02% Oceania 2%
Commodity 3.1 0.04% 5% Africa 1%
Credit 8.9 0.12% 14% Multi-Region 9%
Total 34.8 0.48% 100% VALUE AT RISK (% NAV) 2 0.48% Total 100%

BHMF VaR History (% NAV)

Updated:
June 2021
VaR - Accuracy of VaR Methodology VaR - Reliance on Beneficial Correlation Among Traders

The VaR method is intended to describe the level of loss that would be The VaR of BHMF takes account of beneficially low correlations among traders. To
exceeded no more than 5% of the time. The method uses historical market account for situations where these correlations change sharply BHAM calculates
data from the last 2 years. The graph shows the actual incidence of losses the VaR assuming all traders are 100% (fully) correlated.
that are greater than the estimated VaR ("VaR Exceptions"). During 2008,
exception rate was greater than 5% because actual market moves were much
more volatile than the historical data. The selection of different confidence
AT 30 JUN 2021

intervals may achieve different results, including a higher incidence of

exceptions which exceed the VaR calculation.
Sum of
BHMF VaR (a) trader VaR's (b) Ratio (b/a)
Updated: 0.48% 2.39
% Exceptions (daily loss > VaR predicted) 1.14%
June 2021
24% 3

VaR as a % of NAV: Regular and Fully Correlated

21%

18%

15%

12%

9%

6% Ratio of Fully Correlated to Regular VaR

3%

0%
Aug-05
May-03

May-06

Aug-08

May-15

May-18
Feb-19
Nov-19
Feb-04
Nov-04

Feb-10
Nov-10
Aug-11

Feb-13
Nov-13
Feb-07
Nov-07

May-09

Aug-14

Feb-16
Nov-16
Aug-17

Aug-20
May-12

Cumulative Exceptions 5% Expected Exceptions

Exceptions for Month

Sources and notes: Underlying data provided by the Administrator, IFS. Information derived using software provided by Murex and Risk Metrics. 1. IR risks may exist for currencies
other than those listed. 2. Calculated using historical simulation based on a 1 day, 95% confidence interval. 3. Geographical Exposure is based on VaR by region. 4. Figures are
rounded to the nearest whole number. Therefore in some instances the total may not equal 100% or 0% (as applicable). Note: Brevan Howard measures leverage according to three
calculation methodologies: (i) the “Gross Method” (as required under the EU Alternative Investment Fund Managers Directive (“AIFMD”)), (ii) the “Commitment Method” (as required
under the AIFMD) and (iii) its own leverage calculation methodology (the “Manager’s Method”). For further information, please see the BHMF AIFMD Leverage Report
Private and confidential.
Private and confidential. Not
Not for
for publication.
publication. Your
Your attention
attention isis drawn
drawn to
to the
the important
important legal
legal information
information and
and disclaimer
disclaimer set
set out
out at
at the
the end
end of
of this
this document.
document. ©

Brevan Howard Capital
© Brevan Howard
Management Capital
LP (2021). AllManagement LP (2021). All rights reserved.
rights reserved.
+44 (0)20 7022 6250 | www.brevanhoward.com
JUN 2021
Brevan Howard Master Fund Limited Risk Report
As at close of business on 30 June 2021

Important Legal Information & Disclaimer

This document has been prepared by, and is being communicated outside the United States of America by Brevan Howard Asset Management LLP (“BHAM”). BHAM
is authorised and regulated by the Financial Conduct Authority of the United Kingdom (the “FCA”). This document relates to the fund or funds referred to herein (each, a
“Fund” and collectively the “Funds”), which are managed by Brevan Howard Capital Management LP (“BHCM”). BHCM, BHAM and each of their affiliates are collectively
referred to in this document as “Brevan Howard”. The investment strategies described herein may involve one or more entities which are part of the Brevan Howard
group of companies and certain of the functions described herein may be performed by employees of affiliates of BHAM.
This document has been provided specifically for the use of the intended recipient only and must be treated as proprietary and confidential. It may not be passed on,
nor reproduced in any form, in whole or in part, under any circumstances without express prior written consent from Brevan Howard. Without limitation to the foregoing,
any text and statistical data or any portion thereof contained in this document may not be permanently stored in a computer, published, rewritten for broadcast or
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This document is provided for information purposes only and does not constitute an invitation, solicitation or offer to subscribe for or purchase any of the investments,
products or services mentioned herein, nor shall it, or the fact of its distribution or communication, form the basis of, or be relied on in connection with any contract.
This document is not intended to constitute, nor should it be construed as, investment advice. Potential investors in any investments, products or services referred to
in this document or to which this document relates should seek their own independent financial, legal and taxation advice. Any offer to invest in a Fund may only be
made on the basis of the relevant approved prospectus or offering memorandum relating to that Fund, which must be received and reviewed prior to any investment
decision and which may contain information which is different from the information and opinions contained in this document. This document is not intended to provide
a sufficient basis on which to make any investment decision.
Any estimated net asset values contained in this document are based on unaudited estimated valuations compiled by Brevan Howard. Final month-end net asset
values are determined by the relevant Fund’s administrator and may be materially different from any estimated valuation. Any estimates may be subject to error and
significant fluctuation, especially during periods of high market volatility or disruption. Any estimates should be taken as indicative values only and no reliance should
be placed on them. Estimated results, performance or achievements may differ materially from any actual results, performance or achievements.
The information, data and opinions contained in this document are for background purposes only, are not purported to be full or complete and no reliance should
be placed on them. Brevan Howard believes (but has not necessarily verified) that the sources of the information, data and opinions contained in this document are
reliable. Brevan Howard gives no guarantee, representation, warranty or undertaking, either express or implied, regarding and accepts no liability, responsibility or duty
of care for, the accuracy, validity, timeliness or completeness of any such information, data or opinion (whether prepared by Brevan Howard or by any third party) or
that it is suitable for any particular purpose or use or it will be free from error. To the extent that any further information, data or material is provided in relation to the
investments, products or services referred to herein, no representation is made that any such further information, data or material will be calculated or produced on the
same basis, or in the same format, as contained in this document. No obligation is undertaken to update any information, data or material contained herein.
Certain information contained in this document may be “forward-looking statements”, which can be identified by the use of forward-looking terminology such as
“may”, “will”, “should”, “expect”, “anticipate”, “project”, “estimate”, “intend”, “continue”, “target”, “believe”, the negatives thereof, other variations thereon or comparable
terminology. Due to various risks and uncertainties, actual events, results or performance may differ materially from those reflected or contemplated in such forward-
looking statements.
This document is only being made available to, and the investments (including in relation to the Funds), products and services referred to herein are only available
to, such persons and in such jurisdictions and in such manner as is compliant with applicable laws and regulations (including, without limitation, relevant laws and
regulations relating to the promotion, offering and provision of such investments, products and services). The information herein should not be relied or acted on by
any other person or in any other circumstances.
In relation to member states of the European Economic Area (“EEA”) that have implemented the EU Directive on Alternative Investment Fund Managers (Directive
(2011/61/EU)) (“AIFMD”), interests in the Funds will only be offered or sold to investors in any such member state to the extent that the relevant Fund: (i) is permitted to be
marketed into the relevant member state pursuant to Article 42 of the AIFMD (as implemented into applicable local law); or (ii) where any marketing, offer and sale of
interests of the Fund occurs exclusively at the initiative of the relevant investor. 4
Interests in the Funds have not been and will not be registered under any securities laws of the United States of America or any of its territories or possessions or areas
subject to its jurisdiction, and may not be offered for sale or sold to nationals or residents thereof except pursuant to an exemption from the registration requirements
of the U.S. Securities Act of 1933, as amended (the “Securities Act”), and any applicable state laws. This document is only being provided to United States persons who
are “accredited investors” as defined in Regulation D under the Securities Act and “qualified purchasers” as defined in the U.S. Investment Company Act of 1940, as
amended, and the rules promulgated thereunder. The Funds and any other investments, products or services described in this document are only available to such
persons.
The information contained herein has not been provided in a fiduciary capacity, and it is not intended to be, and should not be considered as, impartial investment
advice.
In the United States, this document is communicated by Brevan Howard US LLC, a Delaware limited liability company, which acts as non-exclusive placement agent
with respect to the sale of interests to certain investors in the Funds, and may provide such investors with marketing and other materials on behalf of Brevan Howard
and the Funds. Brevan Howard US LLC is registered as a broker-dealer under the U.S. Securities Exchange Act of 1934, as amended, and under various state securities
laws, and is a member of the Financial Industry Regulatory Authority, Inc.
In the United Kingdom, this document is directed only at, and made available only to, professional clients and eligible counterparties (as defined in the FCA Handbook).
This material is not intended for use by, or directed at, retail customers (as defined in the FCA Handbook). BHAM neither provides investment advice to, nor receives
and transmits orders from, investors in any Funds nor does it carry on any other activities with or for such investors that constitute “MiFID or equivalent third country
business” (as defined in the FCA Handbook).
Persons in Australia should note that (a) BHAM is exempt from the requirement to hold an Australian financial services licence under the Australian Corporations Act
2001; (b) BHAM is authorised and regulated by the FCA under UK laws which differ from Australian laws; and (c) any views expressed, or financial product advice
provided, by a representative of BHAM is made on behalf of BHAM, as appropriate, only and no other Brevan Howard group entity.
This material does not constitute a public offer of the fund, whether by sale or subscription, in the People's Republic of China (the "PRC"). The fund is not being offered
or sold directly or indirectly in the PRC to or for the benefit of, legal or natural persons of the PRC. Further, no legal or natural persons of the PRC may directly or indirectly
purchase any of the fund or any beneficial interest therein without obtaining all prior PRC’s governmental approvals that are required, whether statutorily or otherwise.
Persons who come into possession of this document are required by the issuer and its representatives to observe these restrictions. Information specific to the Hong
Kong Special Administrative Region of the PRC (“Hong Kong”) is detailed below.
In Hong Kong, this document is directed only at, and made available only to, professional investors as defined in the Securities and Futures Ordinance (Cap. 571,
the laws of Hong Kong, “the Ordinance”) and its subsidiary legislation. The contents of this document have not been reviewed by any regulatory authority in Hong
Kong. You are advised to exercise caution in relation to any offer. If you are in any doubt about any of the contents of this document, you should obtain independent
professional advice. This document has not been registered by the Registrar of Companies in Hong Kong. The Funds are collective investment schemes as defined
in the Ordinance but have not been authorised by the Securities and Futures Commission pursuant to the Ordinance. Accordingly, shares in the Funds may only be
offered or sold in Hong Kong to persons who are “professional investors” as defined in the Ordinance and any rules made under the Ordinance or in circumstances

Private and confidential. Not for publication. Your attention is drawn to the important legal information and disclaimer set out at the end of this document.
© Brevan Howard Capital Management LP (2021). All rights reserved.
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JUN 2021
Brevan Howard Master Fund Limited Risk Report
As at close of business on 30 June 2021

which are permitted under the Companies (Winding Up and Miscellaneous Provisions) Ordinance (Cap. 32, the laws of Hong Kong) and the Ordinance. In addition,
this document may not be issued or possessed for the purposes of issue, whether in Hong Kong or elsewhere, and shares in the Funds may not be disposed of to any
person unless such person is outside Hong Kong, such person is a “professional investor” as defined in the Ordinance and any rules made under the Ordinance or as
otherwise may be permitted by the Ordinance. Brevan Howard (Hong Kong) Limited (“BHHK”) is licensed for Type 9 (asset management) regulated activities by the
Securities and Futures Commission with central entity number AKO483.
The securities described in this document are offered only in those provinces and territories of Canada in which they may be lawfully offered for sale and only to
accredited investors or other purchasers exempt from the prospectus requirement and only by a registered dealer or person exempt from the dealer registration
requirement permitted to sell these securities in the relevant province or territory.
This document may be distributed in or from Switzerland only to qualified investors as defined under applicable law and regulations. The state of origin of the Fund is
the Cayman Islands. Regarding the publication of performance data of the Fund it should be noted that the historic performance does not represent an indicator for
the current or future performance and the performance data does not take account of the commissions and costs incurred on the issue and redemption of units. The
Swiss Representative and the Paying Agent is Société Générale, Paris, Zurich Branch, Talacker 50, P.O. Box 5070, CH-8021 Zurich. In respect of the collective investment
scheme distributed in and from Switzerland, the place of performance and jurisdiction is at the registered office of the Representative in Switzerland. The prospectus
or memorandum, the management regulation or articles of association as well as the annual and any semi-annual reports may be obtained free of charge from the
Representative in Switzerland. For the purposes of this paragraph, references to the “Fund” are to the Cayman Islands-domiciled “feeder fund” of the Master Fund.
Shares of the Fund may in particular not be distributed or marketed in any way to German retail investors if the Fund is not admitted for distribution to this investor
category by the Federal Financial Supervisory Authority (Bundesanstalt für Finanzdienstleistungsaufsicht).
This document has not been registered as a prospectus with the Monetary Authority of Singapore. Accordingly, this document and any other document or material in
connection with the offer or sale, or invitation for subscription or purchase, of Shares/Interests may not be circulated or distributed, nor may Shares/Interests be offered
or sold, or be made the subject of an invitation for subscription or purchase, whether directly or indirectly, to persons in Singapore other than (i) to an institutional investor
pursuant to Section 304 of the Securities and Futures Act, Chapter 289 of Singapore (the “SFA”) or (ii) otherwise pursuant to, and in accordance with the conditions of,
any other applicable provision of the SFA.
This Fund is not for general circulation to the public in Kuwait. The Fund has not been licensed for offering in Kuwait by the Kuwait Capital Markets Authority or any other
relevant Kuwaiti government agency. The offering of the Fund in Kuwait on the basis of a private placement or public offering is, therefore, restricted in accordance with
Law No. 7 of 2010 and the bylaws thereto (as amended). No private or public offering of the Fund is being made in Kuwait, and no agreement relating to the sale of the
Fund will be concluded in Kuwait. No marketing or solicitation or inducement activities are being used to offer or market the Fund in Kuwait.
The Fund is only being offered to a limited number of investors who are willing and able to conduct an independent investigation of the risks involved in an investment
in such funds. This document does not constitute an offer to the public and is for the use only of the intended recipient and should not be given or shown to any
other person (other than employees, agents or consultants in connection with the intended recipient’s consideration thereof). The Fund has not been and will not be
registered with the Qatar Central Bank or under any laws of the State of Qatar. No transaction will be concluded in the Qatar jurisdiction and any inquiries regarding the
Fund should be made to BHAM.
Neither the Fund nor any Brevan Howard entity is making any representation with respect to the eligibility of the recipient of this document to acquire shares in the
Fund (“Shares”) under the laws of Korea, including but without limitation the Foreign Exchange Transaction Act and Regulations thereunder. The Shares have not been
registered under the Financial Investment Services and Capital Markets Act of Korea, and none of the Shares may be offered, sold or delivered, or offered or sold to any
person for re-offering or resale, directly or indirectly, in Korea or to any resident of Korea except pursuant to applicable laws and regulations of Korea.

Additional information
The investment programmes of the Funds are speculative and will entail substantial risks. Interests may be subject to sudden and large falls in price or value and there
could be a large loss on realisation which could equal the amount invested. As there is no recognised market for the interests, it may be difficult for an investor to see
or realise the interests or to obtain reliable information about their value or the extent of the risks to which they are exposed. Changes in interest rates or exchange
rates may have an adverse effect on the value, price or income of the interests. References to future returns are not promises or even estimates of actual returns an
investor may achieve. Any forecasts and other material contained herein are for illustrative purposes only and are not to be relied upon as advice or interpreted as a 5
recommendation. BHAM and its affiliates give no representations, warranties or undertakings that any indicative performance or return will be achieved in the future
or that the investment objectives and policies from time to time of the Funds will be met. Past performance is no guarantee and is not indicative of future results.
The information herein reflects prevailing conditions and BHAM’s judgements as at this date, all of which are subject to change. The portfolio characteristics and risk
controls set forth are not static and may change over time. BHAM does not represent that the statistics, investment guidelines, capital allocation and limits disclosed
herein will remain constant over time. The portfolio risk management process includes an effort to monitor and manage risk, but should not be confused with and does
not imply low risk.
Brevan Howard understands the importance of maintaining market integrity and confidence in financial markets and has outlined its commitment and approach to the
prevention of market abuse in the Brevan Howard Compliance Manual.
Brevan Howard has established a risk management framework which is intended to identify, measure, monitor, report, and where appropriate, mitigate key risks
identified by the Funds’ investment managers. Amongst other things, the risk management framework addresses portfolio risks (such as market, credit, liquidity,
counterparty and funding risks), operational risks and outsourcing risks.
Portfolio risks which are monitored by the risk management team include, as at the date hereof, analysis of sensitivity measures, gross and net exposures, value at
risk, leverage, stress tests and scenario analyses, with a view to identifying and mitigating the potential impact of extreme market movements. These analyses may be
changed from time to time. Brevan Howard believes its risk management framework to be appropriate but gives no warranty as to the adequacy or sufficiency of this
framework, or that it is exhaustive or able to address the entire universe of possible risks to which an investment manager or the Funds may be subject.

Risk Factors
Acquiring an investment in a Fund or any of the other products or services described herein may expose an investor to a significant risk of losing all or a substantial
amount of the amount invested. Any person who is in any doubt about investing in a Fund or any of the other products or services described herein should consult
an authorised person specialising in advising on such investments, products or services. Any person making an investment in a Fund must be able to bear the risks
involved, which include, besides such other risks as may be described in any prospectus or offering memorandum for the relevant Fund, the following:
• The Funds are speculative and involve substantial risk and may have limited, or no, operating history.
• The Funds will be leveraged and will engage in speculative investment practices that may increase the risk of investment loss.
• The Funds will invest in illiquid and volatile securities.
• Investments in the Funds are subject to restrictions on transfer, withdrawal and redemption and should be considered illiquid.
• As there is no recognised market for interests in the Funds (and no secondary markets are expected to develop), it may be difficult for an investor to realise its
investment or to obtain reliable information about its value or the extent of the risks to which an investor is exposed through its investment.
• Past results of the Funds’ investment managers are not necessarily indicative of future performance of the Funds, and the Funds’ performance maybe volatile.
• While the Funds are subject to market risks common to other types of investments, including market volatility, the Funds employ certain trading techniques, such
as the use of leverage and other speculative investment practices that may increase the risk of investment loss.

Private and confidential. Not for publication. Your attention is drawn to the important legal information and disclaimer set out at the end of this document.
© Brevan Howard Capital Management LP (2021). All rights reserved.
+44 (0)20 7022 6250 | www.brevanhoward.com
JUN 2021
Brevan Howard Master Fund Limited Risk Report
As at close of business on 30 June 2021

• The investment managers have total investment and trading authority over the Funds, and the Funds are dependent upon the services of the investment
managers. The use of a single advisor could mean lack of diversification and, consequently, higher risk.
• The Funds are not required to provide periodic pricing or valuation information to investors with respect to individual investments.
• The Funds are not subject to the same regulatory requirements as mutual funds or other regulated fund products.
• The Funds and their managers are subject to conflicts of interest.
• Changes in interest rates or exchange rates may have an adverse effect on the value, price or income of interests in the Funds.
• A portion of the trades executed for the Funds may take place on markets outside the United States and the United Kingdom.
• The Funds are dependent on the services of certain key personnel, and if certain or all of them were to become unavailable, the Funds may prematurely terminate.
• The Funds’ managers will receive performance-based compensation, which may give such managers an incentive to make riskier investments than they
otherwise would and may offset the Funds’ trading profits.
• The Funds’ incentive and performance-based compensation, fees and expenses may offset their trading and investment profits.
• The Funds may involve complex tax structures and there may be delays in the provision of important tax information to investors.
• Returns generated from an investment in a Fund may not adequately compensate investors for the business and financial risks assumed.
• For Funds investing in cryptocurrencies, via a fund or directly, those cryptocurrencies may experience high daily price volatility potentially resulting in significant
losses, as well as the following specific risks for crypto-market participations: valuation and liquidity challenges when exiting in periods of stress; cybersecurity
events or the loss of the unique private keys needed to access/transfer cryptocurrencies with both risking irreversible losses; the opaque underlying/spot market
posing asset verification challenges, and, the evolving regulatory landscape potentially introducing uncertainty affecting prices or usage of cryptocurrencies.
• The Funds may make investments in securities of issuers in emerging markets. Investment in emerging markets involves particular risks, such as less strict
market regulation, increased likelihood of severe inflation, unstable currencies, war, expropriation of property, limitations on foreign investments, increased market
volatility, less favourable or unstable tax provisions, illiquid markets and social and political upheaval.
The above summary risk factors do not purport to be a complete description of the relevant risks of an investment in the Funds and therefore reference should be
had to the prospectus or offering documents of the Funds and related offering documentation for a more detailed description of these and other relevant risks prior
to making any investment.
© Brevan Howard Capital Management LP (2021). All rights reserved.

Private and confidential. Not for publication. Your attention is drawn to the important legal information and disclaimer set out at the end of this document.
© Brevan Howard Capital Management LP (2021). All rights reserved.